In the US mechanicals can be collected directly from the major labels. Royalties are paid quarterly, approximately 45 days after the end of each quarter. Usually a full quarter has to have passed before the first payment is made. So if your song is released in the middle of a quarter, you can expect to receive your first accounting 45 days after the following quarter. To illustrate, let's say that your song was released today (April 27, the middle of Q2). You'd receive your first check from the label around November 15 (45 days after the end of Q3). From that point on you'd receive another payment 45 days after the end of each quarter (as long the song keeps selling, that is).

Hope this helps!

Mitch
http://www.myspace.com/splitpeasongs
Check out soon-to-be-demoed "You Don't Know What You're Missing":
http://www.soundclick.com/util/getplayer.m3u?id=6416517&q=lo